Similar Search Results

Optimal dynamic portfolio selection : multiperiod mean-variance formulation

Li, Duan; Ng, Wan-lung - In: Mathematical finance : an international journal of … 10 (2000) 3, pp. 387-406

Persistent link: https://www.econbiz.de/10002178964

Optimal Dynamic Portfolio Selection : Multiperiod Mean-Variance Formulation

Li, Duan - 2001

The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal...

Persistent link: https://www.econbiz.de/10012788022

A portfolio selection model using fuzzy returns

Li, Duan; Stahlecker, Peter - In: Fuzzy optimization and decision making : a journal of … 10 (2011) 2, pp. 167-191

Persistent link: https://www.econbiz.de/10009240941

Improved estimation of duality gap in binary quadratic programming using a weighted distance measure

Xia, Yong; Sheu, Ruey-lin; Sun, Xiaoling; Li, Duan - In: European journal of operational research : EJOR 218 (2012) 2, pp. 351-357

Persistent link: https://www.econbiz.de/10009505414

New reformulations for probabilistically constrained quadratic programs

Hsia, Yong; Wu, Baiyi; Li, Duan - In: European journal of operational research : EJOR 233 (2014) 3, pp. 550-556

Persistent link: https://www.econbiz.de/10010228240

Prospect theory and trading patterns

Yao, Jing; Li, Duan - In: Journal of banking & finance 37 (2013) 8, pp. 2793-2805

Persistent link: https://www.econbiz.de/10009776367

Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal

Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of banking & finance 37 (2013) 6, pp. 2124-2139

Persistent link: https://www.econbiz.de/10009742471

Bounded rationality as a source of loss aversion and optimism : a study of psychological adaption under incomplete information

Yao, Jing; Li, Duan - In: Journal of economic dynamics & control 37 (2013) 1, pp. 18-31

Persistent link: https://www.econbiz.de/10009703615

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization

Li, Yingjie; Zhu, Shushang; Li, Donghui; Li, Duan - In: European journal of operational research : EJOR 228 (2013) 3, pp. 556-570

Persistent link: https://www.econbiz.de/10009758081

Optimal muli-period mean-variance policy under no-shorting constraint

Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468

Persistent link: https://www.econbiz.de/10010356724

1
2
3
4
5
6
7
8
Next
Last